Hi Patrick. Thanks for taking the time to write so much.
I've cross checked a few symbols in AB vs QT and I'm definitely only seeing the spikes in AB. For example for WDC I'll see the spike in the daily chart in AB, I'll switch to the 1-minute chart in AB and see the spike(s), note the date/time and look at the symbol in QT and scan through the entire range of date/time in QT for WDC and everything is normal. Another way of looking at it for me is that while the bad data spikes don't happen all the time or on every symbol in AB, I've never seen bad data spikes in QT (minute view, historical or raw data window) so I'm fairly certain the issue has to be in in AB or something related only to AB. I would also tend to believe that if the bad data were consistent across QT and AB that it would most likely be a problem in the IQFeed data stream or the IQ agent in which case I would think it would be affecting a large number of their customers. Curiously, no matter what symbol, the spikes always seem to pop up 3-5 days prior and after I perform an explore in AA. So I could have looked at WDC earlier, and everything could've been fine. Then I'll run an Explore and then look at WDC again and the spikes would appear. I also don't think I've ever seen the spikes occur for the current day or for any day >5 days ago which is strange (though I'm not 100% positive about this part). This further increases my suspicion that it is something in AB. The spikes also only seem to appear (or at least I notice it more) when I've already looked at a large number of symbols, so I'm thinking it might be an issue with the DB/memory cache but it's still hard for me to rationalize how/why it happens. I've tried playing around with the database and memory cache settings before but I guess I'll try other combinations. As for the large number of symbols, I wish I could settle on 200 or so but my "system" (for lack of a better word) relies on a combination of technicals and candles and I don't always get the right signals triggered if the number of symbols I'm scanning across is too small. I don't always have that many symbols though and there are days when I don't need to perform an Explore and the spikes aren't so numerous as to be overwhelming (though some days are worse then others). I'll figure this out eventually. Cheers! --- In [email protected], "NW Trader" <pk47har...@...> wrote: > > Hi Kurasake, > > I know exactly what you are experiencing. However, the bad data is in QT, > but then once you have imported it to AB, it will persist. It will most > frequently occur when you do a backfill of some or all stocks in QT, but > depending on your data source and the spike settings you have defined in QT, > it can happen anytime -- especially on volatile opening, closing, or FOMC > days. And I see spikes virtually every day on symbols like SPY just after > the close. Be aware that the spikes do not always appear on a QT chart, > especially the instances of a 0 value for a close on an intraday bar (like a > one minute bar). But they are there and you can find them by opening a QT > data window (<CTRL>D) and scrolling to the time of the bad data. > > Here is my solution. First I've created an exploration which I run (daily > setting in AA) on all symbols, at least once a day. The output of the > exploration is the current Close, the HHV of high for the past 21 days, the > LLV of low for the past 21 days, and a 5 period ATR divided by the close. Why > 21? Well I have a version of QT which allows 20 days of historic data before > it starts to drop off, so this will cover all QT data available on a given > day. Why the ATR/C ? This is a quick volatility tool which can help spot > when a stock may have a split, an outlier data point, or some other radical > move. > > So you run the scan and identify the stocks that have data that needs > correcting. Now open the Quote Editor in AB and sort the columns (e.g., if > you have a LLV(L,21) of 0, sort the lows and find the bars where 0 exists. > You could delete or edit those bars, and exit the Quote Editor, however this > won't fix things so long as the bad data is in QT. So once you've identified > the time of the bad data in AB, you have to find and delete the bad data in > QT. This can be accomplished either with the QT data window (go to the bad > data and delete), or zoom the QT chart in on the time period with the bad > quote (even tho it may not be visible on a QT chart) and press <SHIFT> <CTRL> > L to remove a low point (may have to do this more than once if multiple > minutes are bad) or <SHIFT> <CTRL> H to remove a high quote. > > Splits can also be adjusted in QT, as well as in AB. See the help files for > each program, tho if you fix data in QT it should be ok in AB. Again, always > fix the QT data first, then AB. > > Finally a gratuitous observation & suggestion. IMHO, trying to track 1500 > stocks intra day is neither worth it (given all the data maintenance you will > be doing) nor going to leave you much time to trade. Consider narrowing the > stocks you are following intraday to those you realistically would trade > based on price, volume, and your other trading metrics. I now track > approximately 200 symbols intraday, importing them to AB, but I trade only > about - 2 to 3 dozen regularly (based on my Price/Volume and other metrics). > There are an additional 4 dozen or so that are possible trade candidates that > are not regularly traded but may move into the regular camp as others drop > out. The remaining symbols are indexes, sector ETFs, and longer term holds > and swings that I want to generally keep an eye on. For me this works well > as I can thoroughly know the stocks I trade regularly; I study their intraday > support and resistance levels, daily patterns, know when they report earnings > or have other news releases, and such. I didn't always have 3 dozen traders > -- years ago I tried to follow hundreds, but realized that the concept of > span of control was causing me to miss many trades and make some bad > decisions on trades I took. So I focused on about a dozen stocks and over > the years I've expanded the number of my traders based on experience, > knowledge of those stocks, and developing a trading rhythm for how and when I > trade. > > Of course if you want to track 1500 stocks for end of day study purposes, > consider either a separate data base set to daily data, or a different data > provider. > > This works for me, but your mileage may vary. > > Peace and Justice --- Patrick > ----- Original Message ----- > From: kurasake > To: [email protected] > Sent: Thursday, April 29, 2010 12:19 PM > Subject: [amibroker] Easy data refresh? > > > > I've been having a problem with bad data appearing in AB (abnormally high > volume or wrong OHLC) in AB when I perform an "Explore" from the "Automatic > Analysis" on a large number of symbols (>1500) when I have "wait for > backfill" checked even for something as simple as filter=C>O. > > Fortunately the bad data points are very easy to identify and seem to occur > on the same days for the affected symbols and since I haven't been able to > resolve it, I've sort of learned to live with it (Note, I don't get any bad > data in QuoteTracker running on the same machine using the same RT data feed > so I'm pretty sure it's in AB). > > Anyway, when I see the bad data, I right click on the "Plug-in Status" area > of the status bar and do a "Force Backfill" and all the data is correctly > filled in. My question is, is there an easier way, either from the menu (so > I can setup a macro) or better yet, via some code/formula that will > 1. Keep all the symbols but delete all the EOD and RT data > 2. Automatically "Force Backfill" from my RT feed? > > If someone has an idea on what's causing the problem in the first place, > that would be helpful too but I've posted this regarding this problem before > and haven't seen a solution so I'm guessing I'm a unique case. > > I've also tried flushing the DB cache and playing around with different > database parameters, in-memory cache size, setting up a new database etc. > > Thanks. > > Roy > > System: > Windows XP Pro/Sp3 > Intel Core i7, 4GB Ram, many gigs of HD free > AB v5.3 (tried uninstall/reinstalling) > RT Data from IQFeed using the latest client > > > > > ------------------------------------ > > **** IMPORTANT PLEASE READ **** > This group is for the discussion between users only. > This is *NOT* technical support channel. > > TO GET TECHNICAL SUPPORT send an e-mail directly to > SUPPORT {at} amibroker.com > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > http://www.amibroker.com/feedback/ > (submissions sent via other channels won't be considered) > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > Yahoo! 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